老师，我用画图法做的，请问哪里不对呢，为啥和答案数字不一致

NO.PZ2019010402000061

问题如下：

Suppose one year ago we entered a €200,000,000 three-year receive-fixed Libor-based interest rate swap with semi-annual resets (30/360 day count). The fixed rate in the swap contract entered one year ago was 4.5%. The value for the party receiving the fixed rate is:

选项：

A.- €648,079.61 B.

€648,079.61

- €548,068.57

解释：

B is correct

本题考察的是利率互换求value。

先求出在t=1时刻的互换的固定利率：

$\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233$

fixed swap rate = (1- 0.917431) / 3.812233=2.1659%

annulized: 2.1659% * 360/180 = 4.3318%

然后计算value，对于fixed receiver：

V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61

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已采纳答案

李坏_品职助教 · 2024年07月16日

嗨，努力学习的PZer你好：

画图法：

你算的是没有问题的。

出现了一定的误差，主要原因是重新定价法在算fixed swap rate = (1- 0.917431) / 3.812233=2.1659%的时候，保留了更多的小数位数，而画图法是直接用折现因子的条件计算，不涉及保留小数点的问题。

本金是2个亿，最终结果差距是千位数，误差是合理的。考试中如果遇到类似的误差，选出最接近的数字即可。

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2019010402000061问题如下 Suppose one yeago we enterea€200,000,000 three-yereceive-fixeLibor-baseinterest rate swwithsemi-annuresets (30/360 y count). The fixerate in the swcontractentereone yeago w4.5%. The value for the party receiving the fixerateis: A.- €648,079.61B.€648,079.61C.- €548,068.57 B is correct本题考察的是利率互换求value。先求出在t=1时刻的互换的固定利率 ∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318%然后计算value，对于fixereceiverV= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61 请问如何判断正负? 我理解是作为fixereceiver 一年前定价4.5相当于收到4.5,现在重新定价4.33 ，收到少了，所以是亏了，请问哪里不对呢？

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老师，我用画图法做的，请问哪里不对呢，为啥和答案数字不一致

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